A central problem of random matrix theory is to understand the eigenvalues of spiked random matrix models, introduced by Johnstone, in which a prominent eigenvector (or "spike") is planted into a random matrix. These distributions form natural statistical models for principal component analysis (PCA) problems throughou…
On-device research index
arXiv research
A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
168,695 papers · 148 categories
Trend · papers per month
48 results for “Spiked matrix”
Study reveals efficient recovery of multi-modal signals via Bayesian methods and sequential learning.
problem Recovering multiple high-dimensional signals from correlated modalities.
method Bayesian Approximate Message Passing and Sequential Curriculum Learning.
result Sequential learning strategy optimally recovers weak signals in multi-modal settings.
Improves detection of low-rank signals from noisy data matrices.
problem Statistical detection of low-rank signals in noisy data matrices.
method Entrywise pre-transforming data matrix for non-Gaussian noise, sharp phase transition thresholds, central limit theorem for linear spectral statistics, hypothesis test.
result Improves detection of low-rank signals from noisy data matrices, generalizing known results.
This paper analyzes generalization for linear models with spiked covariance structures.
problem Understanding the generalization performance of linear models with spiked covariance structures.
method Derives the generalization error for two simple models with spiked covariances using random matrix theory.
result The eigenvector and eigenvalue corresponding to the spike significantly influence the generalization error.
Estimates rank-one spikes from heavy-tailed noise using self-avoiding walks.
problem Estimating rank-one spikes from heavy-tailed noise.
method Self-avoiding walks to count and estimate the spikes.
result Optimal estimation up to the BBP threshold for heavy-tailed noise.
We study the problem of detecting the presence of a single unknown spike in a rectangular data matrix, in a high-dimensional regime where the spike has fixed strength and the aspect ratio of the matrix converges to a finite limit. This setup includes Johnstone's spiked covariance model. We analyze the likelihood ratio …
Study on Langevin dynamics for recovering planted signals in spiked matrix models.
problem Recovering a planted signal in spiked matrix models.
method Path-wise characterization of overlap using integro-differential equations and explicit formula derivation.
result Sharp phase transition in limiting overlap: positive in one regime, zero in another due to injected noise.
Simple AMP algorithm robust to adversarial corruption.
problem Robust approximate message passing in spiked matrix models.
method Spectral pre-processing combined with robust spectral initialization.
result AMP output is close to correct for corrupted data.
Study on signal-plus-noise decomposition in nonlinear spiked random matrices.
problem Nonlinear spiked random matrix models with rank-one signal and noise.
method Signal-plus-noise decomposition and phase transition analysis.
result Identified precise phase transitions in signal components at critical thresholds.
Neuronal circuits formed in the brain are complex with intricate connection patterns. Such complexity is also observed in the retina as a relatively simple neuronal circuit. A retinal ganglion cell receives excitatory inputs from neurons in previous layers as driving forces to fire spikes. Analytical methods are requir…
Using a low-dimensional parametrization of signals is a generic and powerful way to enhance performance in signal processing and statistical inference. A very popular and widely explored type of dimensionality reduction is sparsity; another type is generative modelling of signal distributions. Generative models based o…
Paper studies tensor models using random matrix theory.
problem Analyzing asymmetric order-d spiked tensor models with Gaussian noise.
method Uses variational definition of singular vectors and values, constructs equivalent spiked symmetric block-wise random matrix from tensor contractions.
result Characterizes asymptotic singular values and alignments of singular vectors with true spike components.
We study the fundamental limits of detecting the presence of an additive rank-one perturbation, or spike, to a Wigner matrix. When the spike comes from a prior that is i.i.d. across coordinates, we prove that the log-likelihood ratio of the spiked model against the non-spiked one is asymptotically normal below a certai…
New algorithm for signal estimation in noisy matrix models.
problem Signal estimation in rectangular spiked matrix models with rotationally invariant noise.
method Orthogonal Approximate Message Passing (OAMP) algorithm for signal estimation.
result Optimal OAMP algorithm minimizes mean-squared error and achieves Bayes-optimal performance.
A central problem of random matrix theory is to understand the eigenvalues of spiked random matrix models, in which a prominent eigenvector is planted into a random matrix. These distributions form natural statistical models for principal component analysis (PCA) problems throughout the sciences. Baik, Ben Arous and Pé…
Study shows generative priors improve rank-one matrix recovery with optimal sample complexity.
problem Recovering a rank-one signal matrix from noisy data with additional prior information.
method Analysis of a nonlinear least squares objective with a favorable global optimization landscape.
result Established optimal sample complexity for generative priors in rank-one matrix recovery.
We consider the weak detection problem in a rank-one spiked Wigner data matrix where the signal-to-noise ratio is small so that reliable detection is impossible. We propose a hypothesis test on the presence of the signal by utilizing the linear spectral statistics of the data matrix. The test is data-driven and does no…
Optimal spectral method found for inhomogeneous spiked Wigner model.
problem Structured noise in learning scenarios.
method Random matrix theory and spectral analysis.
result Optimal threshold for phase transition in block-structured Wigner model.
Spectrally-Corrected and Regularized Linear Discriminant Analysis for Spiked Covariance Modelstat.ML
Improved LDA method for better classification and dimensionality reduction.
problem Improving linear discriminant analysis for better classification performance.
method Integrates spectrally-corrected covariance matrix and regularized discriminant analysis.
result SRLDA has a linear classification global optimal solution under spiked model assumption.
Adaptive classifier optimizes high-dimensional data with spiked covariance structure.
problem Classification of high-dimensional data with spiked covariance structure.
method Adaptive classifier that whitens data, screens features, and applies Fisher linear discriminant.
result The classifier is Bayes optimal under certain conditions and performs well on real and synthetic data.
Improves signal detection in non-Gaussian noise using transformed data.
problem Signal detection in rank-one signal-plus-noise data matrices.
method Pre-transforming matrix entries and using linear spectral statistics for hypothesis testing.
result Sharp phase transition of largest eigenvalues in spiked rectangular matrices.
New algorithms improve Bayesian linear regression with spike-and-slab priors.
problem Efficiently sampling from Bayesian linear regression models with sparsity-inducing priors.
method Design of two sampling algorithms: Gibbs sampling and Stochastic Localization.
result Stochastic Localization sampler shows significant advantage for poorly designed data matrices.
Paper proposes a new method for PCA using generative models.
problem Principal component analysis with generative modeling assumptions.
method Quadratic estimator and power method variant.
result Near-matching statistical rate of order .
Develops a new point process model for detecting neural spike sequences.
problem Detecting sparse sequences of neural spikes in high-dimensional spike trains.
method A point process model that represents sequence occurrences as marked events in continuous time, with learnable time warping parameters.
result Demonstrates improved detection and modeling of neural spike sequences.
PLS-SVD struggles with missing data in multimodal datasets, showing a phase transition in performance.
problem Missing data in PLS-SVD for multimodal datasets.
method Replica-symmetric analysis of spiked rectangular random matrices with missing entries.
result PLS-SVD performance transitions from uninformative to informative singular vectors at a critical signal-to-noise threshold.
New algorithms sample spike-and-slab priors efficiently in high dimensions.
problem Sampling from spike-and-slab priors in high-dimensional settings.
method Provably efficient algorithms for posterior sampling with sublinear measurement count.
result First provable algorithms for spike-and-slab posterior sampling without strong SNR assumptions.
A new QDA classifier for high-dimensional data with spiked covariance.
problem Classifying high-dimensional data with distinct covariance matrices.
method Proposes a novel quadratic classification technique with parameters chosen to maximize the fisher-discriminant ratio.
result The proposed classifier outperforms classical R-QDA and requires lower computational complexity.
Epilepsy is a neurological disorder classified as the second most serious neurological disease known to humanity, after stroke. Localization of the epileptogenic zone is an important step for epileptic patient treatment, which starts with epileptic spike detection. The common practice for spike detection of brain signa…
SGD recovers multiple signal vectors in noisy tensor PCA.
problem Estimating multiple signal vectors from noisy tensor observations.
method Online stochastic gradient descent (SGD) in high dimensions with detailed analysis of correlations.
result Sequential elimination of correlations allows recovery of all spikes from samples.
In this work we analyse quantitatively the interplay between the loss landscape and performance of descent algorithms in a prototypical inference problem, the spiked matrix-tensor model. We study a loss function that is the negative log-likelihood of the model. We analyse the number of local minima at a fixed distance …
Consistent model selection for spiked Wigner model via AIC-type criteria.
problem Estimating the number of spiked eigenvalues in the spiked Wigner model.
method AIC-type model selection criteria with parameters γ.
result Strong consistency for γ > 2 and weak consistency for γ = 2 + δ_N.
Study eigenvalues and eigenvectors in neural networks, focusing on signal propagation.
problem Characterize signal eigenvalues and eigenvectors in neural networks.
method Characterizes signal eigenvalues and eigenvectors for a nonlinear spiked covariance model.
result Provides precise quantitative characterizations of signal eigenvalues and eigenvectors in neural networks.
Study on complexity of random polynomials with deterministic spikes, identifying phase transitions.
problem Complexity of random Gaussian polynomials with deterministic spikes on a sphere.
method Variational formulas, Kac-Rice formula, determinant asymptotics of finite-rank perturbation of Gaussian Wigner matrices.
result Identification of a topological phase transition in the complexity function.
New framework predicts AMP behavior in spiked models for finite iterations.
problem Understanding AMP dynamics in high-dimensional spiked models.
method Developed a non-asymptotic framework for AMP in spiked matrix estimation.
result Predicted AMP behavior for up to iterations in synchronization.
Paper optimizes private PCA for covariance estimation in statistics.
problem Private estimation of covariance matrices and principal components.
method Developed differentially private estimators for spiked covariance model.
result Established minimax rates of convergence for principal components and covariance matrix estimation.
Generalized Cumulative Shrinkage Process Priors with Applications to Sparse Bayesian Factor Analysisstat.ME
The paper extends and applies a new shrinkage prior in Bayesian factor analysis.
problem Estimating the number of factors in sparse Bayesian factor analysis.
method Introduces and extends a generalized cumulative shrinkage process (CUSP) prior.
result Exchangeable spike-and-slab shrinkage priors imply increasing shrinkage as the column index increases.
New theory for eigenvectors of generalized Laplacian matrices, addressing dependency issues.
problem Dependency in random matrix theory hinders eigenvector analysis for latent embeddings.
method Introduces generalized Laplacian matrices and a new asymptotic theory framework.
result Established asymptotic normalities for spiked eigenvectors and eigenvalues.
Attention-based PCAmath.OC
Attention learns PCA on Gaussian data, proving its connection to principal component analysis.
problem Principal component analysis on Gaussian data.
method Analysis of attention mechanisms through PCA, covering finite and infinite prompt regimes.
result Attention aligns with principal eigenvectors of covariance matrices, converging to optimal solutions in the infinite-prompt limit.
Spectral Thresholds in Correlated Spiked Models and Fundamental Limits of Partial Least Squaresmath.ST
Study reveals limits of PLS in multi-modal learning with correlated signals.
problem Understanding PLS performance in multi-modal learning with correlated signals.
method Random matrix theory analysis of spiked cross-covariance models.
result Identifies SNR and correlation regimes where PLS fails to recover any signal.
In this article, we study spectral methods for community detection based on -parametrized normalized modularity matrix hereafter called in heterogeneous graph models. We show, in a regime where community detection is not asymptotically trivial, that can be well approximated by a more tract…
Gradient-based algorithms are effective for many machine learning tasks, but despite ample recent effort and some progress, it often remains unclear why they work in practice in optimising high-dimensional non-convex functions and why they find good minima instead of being trapped in spurious ones. Here we present a qu…
Fast algorithm recovers principal eigenvector from noisy matrices.
problem Recovering the first principal eigenvector from noisy positive semidefinite matrices.
method Cone projected power iteration algorithm.
result Achieves polynomial time complexity and small error for certain convex cones.
Bayesian SPCA method tackles orthogonality constraint with spike and slab prior.
problem Bayesian SPCA method for high-dimensional data with orthogonality constraint.
method Parameter-expanded coordinate ascent variational inference (PX-CAVI) with spike and slab prior.
result PX-CAVI algorithm outperforms existing SPCA approaches in performance.
We study the problem of detecting an abrupt change to the signal covariance matrix. In particular, the covariance changes from a "white" identity matrix to an unknown spiked or low-rank matrix. Two sequential change-point detection procedures are presented, based on the largest and the smallest eigenvalues of the sampl…
Estimation of the covariance matrix of asset returns from high frequency data is complicated by asynchronous returns, market mi- crostructure noise and jumps. One technique for addressing both asynchronous returns and market microstructure is the Kalman-EM (KEM) algorithm. However the KEM approach assumes log-normal pr…
Study optimal algorithms for recovering signals through inhomogeneous low-rank channels.
problem Recovering signals through an inhomogeneous low-rank matrix channel.
method Derive and analyze an approximate message-passing algorithm (AMP) and a spectral method.
result The AMP iteration matches the conjectured optimal computational phase transition.
Single-spike neurons can approximate as well as multi-spike neurons.
problem Limitation of single-spike neurons in spiking neural networks.
method Comparison of single-spike and multi-spike neural networks.
result Single-spike and multi-spike neural networks are equivalent in approximation capabilities.
Information in neural networks is represented as weighted connections, or synapses, between neurons. This poses a problem as the primary computational bottleneck for neural networks is the vector-matrix multiply when inputs are multiplied by the neural network weights. Conventional processing architectures are not well…